The stochastic approximation EM (SAEM) algorithm is a simulation-based alternative to the expectation/maximization (EM) algorithm for situations when the E-step is ...
Journal of the Royal Statistical Society. Series C (Applied Statistics), Vol. 44, No. 3 (1995), pp. 323-341 (19 pages) The parameters of the life length distribution of a given component are to be ...
Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper shows that the Expectation-Maximization (EM) algorithm for regime-switching dynamic factor models provides ...
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